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ALM Quant Analyst Contract, London UK up to £600/day

Company :

Saul&Partners

Country :

United Kingdom

Area :

England - South West

City :

London

Sector :

Banking

Specialism :

All

Experience :

3 - 5

Salary :

100,001 - 150,000 per year (GBP United Kingdom Pounds)

Education level :

Unspecified

Desired travel :

No

Contract type :

Temporary

Employment type :

Full time

Work permit for :

United Kingdom

Publication date :

2010 - 07 - 14

Reference :

Description :


Our clients are looking for several ALM Quant Analyst Contractors to work on the one of the Europe's biggest banking project in London, UK. The role purpose is to support model design and implementation of QRM across Banking Divisions for use in Asset & Liability Management.

Requirements :


Technical Skills
• Several years relevant experience arising in ALM/product development/ product control/ ALM or structuring. Must be fully proficient with the range of market instruments for hedging and be able to construct hedges using variety of instruments to remove risk.
• Ability to price (from first principles) interest rate swaps, caps, floors, and swaptions. Full understanding of factors affecting option prices.
• Expert understanding of pipeline risk, prepayment risk, option adjusted spread methodologies.
• Expert understanding of NII simulation, Market Value, Earnings at Risk, Value at Risk and the application of stochastic processes, including Monte Carlo analysis of interest rates and other indices.
• Strong discipline and experience of model development, validation and documentation
 

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